Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0151
Annualized Std Dev 0.2363
Annualized Sharpe (Rf=0%) -0.0640

Row

Daily Return Statistics

Close
Observations 3575.0000
NAs 1.0000
Minimum -0.0736
Quartile 1 -0.0079
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0081
Maximum 0.0852
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0149
Skewness 0.0063
Kurtosis 2.3551

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0101
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6279
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0339
Modified VaR (95%) -0.0237
Modified ES (95%) -0.0343
From Trough To Depth Length To Trough Recovery
2007-05-07 2009-02-23 NA -0.6279 3494 454 NA
2007-01-12 2007-02-07 2007-02-23 -0.0917 29 18 11
2007-02-27 2007-03-05 2007-04-03 -0.0796 26 5 21
2007-04-10 2007-04-12 2007-04-17 -0.0240 6 3 3
2007-04-18 2007-04-19 2007-05-01 -0.0229 10 2 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -1.1 -0.9 -0.3 1.4 -1.2 -0.3 -1.2 1.6 1.1 -1.1 2.2 -1.4 -1.3
2008 -1.7 -2.3 -0.4 -3.3 1.4 0.8 -2.1 0.2 -1.4 -0.8 -4.7 4.7 -9.4
2009 -0.6 0 -1.4 4.2 5.7 3.3 1.4 -1.2 -1.9 -3.1 1.9 -0.7 7.4
2010 1.7 1.2 1.1 0.2 -2.5 -0.8 1.3 2.7 1 0.6 3.7 1.2 11.7
2011 2 -0.6 0 -1.4 -1.8 0.2 -1.5 -1.5 -4.3 -3.6 -0.8 1 -11.9
2012 0.5 1.7 -0.2 0 -0.8 4.7 -2.2 0.6 0.6 1.6 1.5 1.4 9.6
2013 1.2 -1.7 -1.1 -2.8 -0.6 2.5 0.5 -1.2 -1.3 -0.6 0.1 -0.2 -5.1
2014 -1.5 -0.5 0.1 -0.8 -0.4 -0.8 -0.7 0.4 -0.5 0.2 1.2 -0.8 -4
2015 2 -0.1 0.3 0.3 -0.3 1.7 -1.5 -1 -0.8 0 1.3 -1 0.9
2016 0.5 0.7 1.1 1.6 1.4 1.2 -0.4 0.7 0.7 0 0.5 1.2 9.6
2017 -0.4 1.2 -1.2 1.4 -0.4 0.8 -0.6 0.9 -0.7 0.3 1.7 -0.2 2.8
2018 0.9 -0.1 0 -0.6 -0.1 -1 -2.6 -0.1 1 1.9 1.4 -0.1 0.5
2019 -0.4 0 -0.6 -2.2 -0.9 -0.9 -1.4 -0.6 -0.6 1.5 -0.9 -1.5 -8.3
2020 -0.6 -0.2 -2.3 -1.1 -0.1 0.7 -0.3 0.4 -2.9 0.1 1.2 -0.3 -5.4
2021 0.1 -0.4 2.1 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-05  23.7 SPY    141. -0.008  -0.0138   -0.0053   0.0417   0.104     0.250    0.203 GLD    60.2 -0.024   -0.0329
2 2007-01-08  23.4 SPY    141.  0.0046 -0.0072   -0.005    0.0445   0.108     0.254    0.200 GLD    60.5  0.0052  -0.0385
3 2007-01-09  23.3 SPY    141. -0.0008 -0.0039   -0.005    0.0449   0.0983    0.249    0.208 GLD    60.8  0.0061  -0.0373
4 2007-01-10  24.2 SPY    142.  0.0033  0.00120   0.0027   0.0477   0.0992    0.248    0.215 GLD    60.6 -0.0043  -0.0271
5 2007-01-11  24.5 SPY    142.  0.0044  0.0035    0.0052   0.0509   0.103     0.265    0.230 GLD    60.6  0.0007  -0.0165
6 2007-01-12  24.1 SPY    143.  0.0076  0.0192    0.0099   0.0602   0.108     0.265    0.234 GLD    62.2  0.0254   0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart